US 30-Yr has really lagged US 10-Yr vol since Feb and has recently hit 3 year highs on it’s vol spread. This week US 10-Yr Vol has pushed over it’s 25 day realised while US 30-Yr have remained more subdued.
The Vol spread is currently around 14 bp against a 17 bp high.
Using PricingMonkey to get a vega hedge amount, suggests around 400 USQ vs 1000 TYQ.
